TreynorRatio
On Fri, Nov 9, 2012 at 6:46 AM, sheenmaria <sheenmaria6 at gmail.com> wrote:
i read about the performance analytics package
i have a doubt about the TreynorRatio
i have code
g=getSymbols("IBM")
c=Cl(g) r=Return.calculate(c) SharpeRatio.annualized(r)
IBM.Close Annualized Sharpe Ratio (Rf=0%) 0.3566339
TreynorRatio (ret)
Error in inherits(x, "xts") : argument "Rb" is missing, with no default TreynorRatio give the error like this. what value i give for the Rb field. anyboday can help
Type ?TreynorRatio to see the documentation. The Treynor ratio is a relative performance metric, so you have to give a benchmark return series as well. Michael